Abstract
We consider the stochastic recursion $X_{n+1} = M_{n+1}X_n + Q_{n+1}$ on $\mathbb{R}^d$, where ($M_n, Q_n$) are i.i.d. random variables such that $Q_n$ are translations, $M_n$ are similarities of the Euclidean space $\mathbb{R}^d$. Under some standard assumptions the sequence $X_n$ converges to a random variable $R$ and the law $\nu$ of $R$ is the unique stationary measure of the process. Moreover, the weak limit of properly dilated measure $\nu$ exists, defining thus a homogeneous tail measure $\Lambda$. In this paper we study the rate of convergence of dilations of $\nu$ to $\Lambda$ In particular in the one dimensional setting, when $(M_n,Q_n) \in \mathbb{R}^+\times \mathbb{R}$, $\mathbb{E} M_n^{\alpha }=1$ and $X_n\in \mathbb{R}$, the Kesten renewal theorem says that $t^\alpha\mathbb{P}[|R|>t]$ converges to some strictly positive constant $C_+$. Our main result says that $$\big|t^\alpha\mathbb{P}[|R|>t]-C_+\big|\le C (\log t)^{-\sigma},$$ for some $\sigma>0$ and large $t$. It generalizes the previous one by Goldie.
Highlights
We consider the stochastic difference equation on RdXn = MnXn−1 + Qn, n ≥ 1 (1.1)where (Mn, Qn) is a sequence of i.i.d. random variables with values in GL(Rd) × Rd and X0 ∈ Rd is the initial distribution
Under mild contractivity hypotheses the sequence Xn converges in law to a random variable R, which is the unique solution of the random difference equation
If E log |M | < 0 and E log+ |Q| < ∞, the sequence Xn converges in law to a random variable R, which is the unique solution of the random difference equation (1.2)
Summary
Where (Mn, Qn) is a sequence of i.i.d. (independent identically distributed) random variables with values in GL(Rd) × Rd and X0 ∈ Rd is the initial distribution. The goal of this paper is to study the rate of convergence of |g|−α(gν) to Λ on natural function spaces like the Hölder space or the Zolotarev space, Theorem 4.5 being our main result (see Theorems 4.2, 4.3). For a measure on K to have a spectral gap it is sufficient to be spread out but much less will do This phenomenon has been intensively studied by a number of authors. If the reader is interested only in the one dimensional situation, the complete proof is contained, Lemmas 6.1, 7.1 and Proposition 7.2 and this part can be read independently of the rest of the paper If the reader is interested only in the one dimensional situation, the complete proof is contained in Section 2, Lemmas 6.1, 7.1 and Proposition 7.2 and this part can be read independently of the rest of the paper
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